NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Patterns in Exchange Rate Forecasts for 25 Currencies

Menzie Chinn, Jeffrey Frankel

NBER Working Paper No. 3807 (Also Reprint No. r1926)*
Issued in December 1994
NBER Program(s):   ITI    IFM

We investigate the properties of exchange rate forecasts with a data set encompassing a broad cross section of currencies. The key finding is that expectations appear to be biased in our sample. This result is robust to the possibility of random measurement error in the survey measures. Investors would be better off placing less weight on their forecasts or the forward rate, and more on the current spot rate.

*Published: Journal of Money, Credit, and Banking. vol. 26, no. 4, Nov. 1994.pp. 754-770

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